Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0445
Annualized Std Dev 0.2590
Annualized Sharpe (Rf=0%) 0.1717

Row

Daily Return Statistics

Close
Observations 3714.0000
NAs 1.0000
Minimum -0.1480
Quartile 1 -0.0067
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0072
Maximum 0.1022
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0163
Skewness -0.3242
Kurtosis 9.7140

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0120
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.6810
Historical VaR (95%) -0.0232
Historical ES (95%) -0.0395
Modified VaR (95%) -0.0248
Modified ES (95%) -0.0446
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-05-21 -0.6810 1502 444 1058
2018-08-22 2020-03-23 2021-03-08 -0.4809 639 398 241
2015-04-16 2016-01-20 2016-07-08 -0.2112 311 193 118
2014-07-02 2014-10-10 2014-11-12 -0.1014 94 71 23
2018-01-23 2018-02-08 2018-06-05 -0.0967 93 13 80

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 2.1 -0.8 -0.1 -1 -1.5 -0.4 -1 -2.7
2007 0.8 0 -0.1 0.4 0.9 -0.9 1.1 0.9 2.6 -4.1 0.3 -0.2 1.6
2008 2 -2.6 3.4 2.2 -0.5 0.3 0.8 -1.1 -1.8 4.3 -14.8 3.5 -5.6
2009 -3.8 -1.9 2.3 -0.6 4.2 1.9 0.5 -2.6 -3.3 -3.1 1.3 -0.9 -6
2010 0.5 1.1 0.5 -3 -2.7 -0.2 -0.2 3.1 0.5 -0.4 1.8 -0.5 0.3
2011 1.9 -1.7 0.3 -0.1 -2.6 1.3 -0.2 -2.5 -0.5 -3.9 -1.2 -0.8 -9.8
2012 2 0.2 -0.2 0 -2.2 2.2 -1.1 0.4 0.1 0.8 0.1 1.9 4.2
2013 0.9 0 -1 -2.5 -1 1.4 1.1 -1.7 0.8 -0.3 0.2 0 -2.1
2014 -0.6 0.4 1.1 -0.2 -0.1 1 -0.2 0.5 -0.9 1.3 -1 -0.9 0.3
2015 -2.1 -0.4 -0.1 0.6 0.3 0.4 0.4 -2.7 -0.2 -0.3 0.5 -1.2 -4.8
2016 -0.5 1.6 0 -0.3 0.5 0.4 -0.2 0 0.6 -1.8 -0.3 -0.2 -0.2
2017 -0.6 1.3 0.4 0.2 1.8 -0.2 0.2 0.8 -0.2 -0.4 -0.6 -0.5 2.2
2018 -0.6 0 0.6 0.1 0.3 -0.3 -0.6 0.3 -1.2 1.5 0.5 0.4 1
2019 -0.2 0.4 1.5 -1.1 -1.4 -0.1 -1.9 0.1 -1.9 1.3 -0.6 0.3 -3.8
2020 -2.4 -1.9 -6.4 -3.9 0.7 -1.8 -0.6 0.5 0.9 -0.7 1.1 0.5 -13.3
2021 1.6 2.9 0.1 NA NA NA NA NA NA NA NA NA 4.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  16.7 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  16.6 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  16.5 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  16.7 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-22  16.6 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
6 2006-06-23  16.7 SPY    124. -0.0002 -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart